Stable Lévy motion approximation in collective risk theory

DOI10.1016/S0167-6687(97)00008-5zbMath0901.90068MaRDI QIDQ1382123

Hansjörg Furrer, Zbigniew Michna, Aleksander Weron

Publication date: 25 March 1998

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

insurance companyruin probabilityweak approximations\(\alpha\)-stable Lévy motioncollective risk theoryheavy-tailed claims

Mathematics Subject Classification ID

Related Items (14)

Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes ⋮ Mixed Poisson process with Pareto mixing variable and its risk applications ⋮ Ruin probabilities for two collaborating insurance companies ⋮ Ruin probabilities in classical risk models with gamma claims ⋮ Formula for the supremum distribution of a spectrally positive \(\alpha \)-stable Lévy process ⋮ Gerber-Shiu function for a class of Markov-modulated Lévy risk processes with two-sided jumps ⋮ Approximating the classical risk process by stable Lévy motion ⋮ Gerber-Shiu functionals for classical risk processes perturbed by an \(\alpha\)-stable motion ⋮ Simultaneous ruin probability for two-dimensional brownian risk model ⋮ Heavy-traffic asymptotics for the single-server queue with random order of service ⋮ Risk process approximation with mixing ⋮ Weak limits of random coefficient autoregressive processes and their application in ruin theory ⋮ The De Vylder–Goovaerts conjecture holds within the diffusion limit ⋮ On The Expected Discounted Penalty function for Lévy Risk Processes

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